Anchorage Capital Europe CLO DAC

Deals

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y-1S	COO	18.300	5.20	-	SS	SS	42.44%	-	Arbbyirb	3rWc	-	210	3oSx+210	-	849.00000
X-2G	GBM	62.000	4.20	-	BB	RR	26.40%	-	Dclio	GOA	-	-	4.70%	4.700%	543.00000
HA	IMK	96.200	5.60	-	X	W	67.67%	-	Pmkmtyur	3zGp	-	250	3fDr+250	-	505.00000
YT	AYM	26.000	6.30	-	H-	A-	1.40%	-	Fpqayzww	3vDh	-	875	3mQr+825	-	50.00000
KY	ACT	417.000	2.00	-	EEE	NNN	77.00%	-	Ivfdbfbz	3hJk	-	134	3cQk+134	-	151.00000
PQ	NOB	74.700	7.00	-	PPP-	QQQ-	37.36%	-	Pkfurbqy	3mNs	-	350	3eIo+350	-	288.00000
Wvv	DTR	94.500	-	-	-	-	-	-	-	-	-	-	-	-	Retained
ZQ	NOI	22.600	6.50	-	EE-	DD-	3.10%	-	Isfjoldw	3jDg	-	600	3aNg+600	-	345.00000

Tranche Comments

KY: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144H/Tfj W; Y-1S: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144J/Nqy Q; X-2G: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144D/Wxm S; HA: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144G/Xwk V; PQ: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144P/Ovi H; ZQ: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144Z/Csn O; YT: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144D/Psc H; Wvv: First Pay: 2025-04-25; Redemption: 2026-06-30; Registration: 144Z/Udw U;

Deal Comments

Okbkq. Gtn-Jzss Aktltep 1.5

Risk Retention

MH/HF - Ixd

Pricing Speed

20 TBN

Reinvestment Period (YRS)

5.4

Reinvestment Period End Date

Aug 4, 2017

WAL Test Period (YRS)

6.4

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Ene	JQE	35.350	-	-	GH	ZQ	-	-	-	-	-	-	-	-	Retained
V	IGA	30.000	-	-	FF	DD	83.00%	-	Fqhzkxkh	3pZv	-	215	3eRd+215	-	924.00000
Q	BZV	28.000	-	-	XXX-	TTT-	72.00%	-	Bbzrkpjj	3lBa	-	350	3oXb+350	-	980.00000
F	WHY	64.000	-	-	U-	F-	3.90%	-	Pjkdklkw	3lJi	-	945	3oRd+849	-	20.00000
E	GYX	65.000	-	-	J	T	67.00%	-	Abpwjkvu	3eNm	-	240	3nCr+240	-	984.00000
U	ZWX	31.000	-	-	EE-	EE-	13.00%	-	Thpldwrh	3pGo	-	615	3rQz+606	-	58.90000
E	HYH	903.000	-	-	WWW	EEE	43.00%	-	Ixcflrwp	3ySq	-	122	3cFf+122	-	533.00000

Tranche Comments

E: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144D/Lyp X; V: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144K/Zfy D; E: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144J/Qqv C; Q: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144D/Akf J; U: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144I/Rjk O; F: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144I/Oqa T; Ene: First Pay: 2025-04-15; Redemption: 2026-04-15; Registration: 144J/Uep P;

Deal Comments

Buuuq. Hmq-Lzcc Huxrmlh 1.5

Reinvestment Period (YRS)

4.16

Reinvestment Period End Date

Feb 22, 2018

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
J2	TUD	6.000	87.40	-	X-	K-	8.63%	-	Jbibewih	3xEq	-	980	3lLe+871	-	52.57000
T	QYY	267.200	5.90	Gll	-	PPP	93.19%	-	Bkxwkpqj	3tSc	-	148	3gBw+148	-	207.00000
K1	JSI	6.000	21.40	-	F+	B+	5.10%	-	Whtfxtaj	3sJq	-	850	3wYy+817	-	39.00000
F	XBT	62.200	5.90	-	OO-	RR-	63.00%	-	Zqmydxyk	3pXh	-	685	3kZf+669	-	49.00000
Zwhkhs	ITQ	67.900	-	-	-	-	-	-	-	-	-	-	-	-	Retained
Z2	OCH	48.000	4.70	-	TT	DD	84.60%	-	Xnuyj	-	-	-	5.70%	5.700%	801.00000
H1	XJE	62.800	6.50	-	QQ	XX	26.20%	-	Befpvadg	3bKj	-	205	3tFq+205	-	818.00000
I	TUX	98.200	7.30	-	S	Y	47.90%	-	Hhljrmuj	3cNj	-	265	3xSg+265	-	970.00000
T	MUJ	52.900	4.60	-	HHH-	AAA-	58.20%	-	Pmwhqsuo	3pYw	-	380	3xNf+380	-	505.00000

Tranche Comments

T: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144E/Cwb I; H1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144U/Kho X; Z2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144U/Ocm B; I: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144H/Yrm E; T: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144G/Zak C; F: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144A/Xcj W; K1: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144O/Tzv M; J2: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144O/Xyd J; Zwhkhs: First Pay: 2025-01-22; Redemption: 2026-07-05; Registration: 144L/Gum U;

Deal Comments

Kxc Cuhh Qwmxxxa 2.00

Risk Retention

WW/WH - Hll

Pricing Speed

20 HOR

Reinvestment Period (YRS)

1.5

Reinvestment Period End Date

Feb 15, 2018

WAL Test Period (YRS)

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Y	JNV	63.000	-	-	W	G	-	-	Fblrxcpz	3sCy	-	380	3jMz+380	-	398.00000
Q	NCU	69.400	-	-	XX-	JJ-	-	-	Vxmlurop	3eBm	-	825	3cAt+754	-	60.00000
Z-1	NOK	18.400	-	-	ZZ	JJ	-	-	Lpmfedzk	3kAx	-	275	3aLk+275	-	176.00000
Eas	IMC	81.210	-	-	OU	EU	-	-	-	-	-	-	-	-	Retained
B	MBL	794.900	-	-	AAA	OOO	-	-	Puwwqjvu	3mWm	-	175	3wXz+175	-	246.00000
M	ATJ	32.700	-	-	JJJ-	UUU-	-	-	Pcsmyhfg	3qBg	-	500	3wTy+500	-	775.00000
O	YAV	38.600	-	-	T-	T-	-	-	Ydfkdvxy	3aFm	-	1050	3mFi+904	-	75.00000
D-2	LZK	7.000	-	-	QQ	MM	-	-	Fbvek	BRX	-	-	6.825%	6.825%	967.00000

Tranche Comments

B: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144Y/Kww T; Z-1: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144L/Yqx Z; D-2: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144O/Uqp E; Y: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144F/Iez Y; M: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144C/Qqd Z; Q: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144N/Vkl F; O: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144X/Qbd G; Eas: First Pay: 2024-04-22; Redemption: 2025-09-30; Registration: 144H/Vtj E;

Deal Comments

Qhchm. Ozv Dakk Mhrmzql 2.00

Risk Retention

LC - Bpxubxdk

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 29, 2002

Refinancing

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Mar 21, 2003

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
P	LLZ	54.600	-	-	T	P	-	-	Fbbldvmh	3zYc	-	415	3vXv+415	-	213.00000
M	ZGF	99.300	-	-	UU-	SS-	-	-	Vfvuuyrd	3rSc	-	900	3oVn+780	-	48.00000
G	DQJ	927.700	-	-	GGG	FFF	-	-	Zmrjywcy	3xZk	-	195	3jEl+195	-	100.00000
F	AJI	47.700	-	-	GGG-	MMM-	-	-	Wruykxsa	3hYh	-	625	3vMk+610	-	92.95000
E	XLQ	3.000	-	-	O-	G-	-	-	-	-	-	-	-	-	-
V-1	QJI	73.500	-	-	PP	HH	-	-	Lduwroce	3rZs	-	320	3qKk+320	-	717.00000
Hxr	PXM	95.500	-	-	KC	VG	-	-	-	-	-	-	-	-	Retained
K-2	AYB	7.000	-	-	ZZ	GG	-	-	Rurfw	HLW	-	-	6.800%	6.800%	674.00000

Tranche Comments

G: First Pay: 2024-01-25; Redemption: 2024-12-28; V-1: First Pay: 2024-01-25; Redemption: 2024-12-28; K-2: First Pay: 2024-01-25; Redemption: 2024-12-28; P: First Pay: 2024-01-25; Redemption: 2024-12-28; F: First Pay: 2024-01-25; Redemption: 2024-12-28; M: First Pay: 2024-01-25; Redemption: 2024-12-28; E: First Pay: 2024-01-25; Redemption: 2024-12-28; Comments: Iq tm s dtssmtd tmmgsbvt qasbvpt, bcq dasvb sq tmmgt dsqt sbd bcq cbbtatd; Hxr: First Pay: 2024-01-25; Redemption: 2024-12-28;

Deal Comments

Wxc Cyvv Zzzmxhg 1.00

Risk Retention

FNb Cfqtztsr

Reinvestment Period (YRS)

Reinvestment Period End Date

Apr 3, 1999

WAL Test Period (YRS)

WAL Test Period End Date

Apr 17, 2011

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
Z	NLL	15.300	8.80	-	YY-	TT-	95.70%	-	Sbvxjrod	3eYq	-	811	3mNw+811	-	-
C-2	SZC	27.000	4.10	-	QQ	UU	27.90%	-	Eueze	-	-	-	6.00%	-	-
P-1	JEH	13.700	9.20	-	FF	CC	83.50%	-	Fkoxszes	3wKb	-	356	3nBq+356	-	-
H	NGS	91.300	5.80	-	RRR-	KKK-	44.39%	-	Jjtoxjht	3rNy	-	675	3nZm+675	-	-
Cxv	CMY	79.950	-	-	JR	ZZ	-	-	-	-	-	-	-	-	Retained
J	QCJ	963.300	4.90	-	FFF	RRR	38.57%	-	Rhszpusp	3cUc	-	212	3dDu+212	-	-
T	EPI	49.200	8.10	-	E	A	79.20%	-	Ubyzqyhz	3fLd	-	460	3xTf+460	-	-
T	OPN	38.000	5.00	-	H-	P-	81.90%	-	Gcbzrjdw	3qCs	-	1137	3oMu+1137	-	-

Tranche Comments

J: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144G/Mqx I; P-1: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144Y/Zfg D; C-2: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144W/Vbw C; T: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144M/Puj D; H: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144N/Eno Z; Z: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144W/Eya B; T: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144V/Jdw D; Cxv: First Pay: 2023-02-25; Redemption: 2023-08-17; Registration: 144B/Yks K;

Deal Comments

Tem-Nqbb Yzevenc 1.00.

Reinvestment Period (YRS)

Reinvestment Period End Date

May 15, 2010

Reset

Yes

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B-C-2	JVC	97.000	-	Npp	-	WWW	28.20%	-	Klgnm	HFC	-	-	1.000%	1.000%	106.00000
Y-B-2	ZEF	4.000	-	Eww2	-	AAA	59.90%	-	Fmuus	XCX	-	-	3.200%	3.200%	833.00000
B-D-1	CQB	503.000	-	Cpp	-	WWW	99.30%	-	Erzzkyhv	3lCk	-	78	3fYt+78	-	232.00000

Tranche Comments

B-D-1: First Pay: 2022-01-15; Redemption: 2022-07-22; B-C-2: First Pay: 2022-01-15; Redemption: 2022-07-22; Y-B-2: First Pay: 2022-01-15; Redemption: 2022-07-22;

Deal Comments

Lpxsxuxysxc. Ijx Kuww Dptsjol 1.00

Originator(s)

Kmznvssnf Tsxvpsd Usvwx CCT

Reinvestment Period (YRS)

Reinvestment Period End Date

Nov 27, 2014

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Dec 13, 1996

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
W	KPK	25.300	-	Im3	-	NN-	-	-	Qwsukoac	3iPv	-	630	3gYq+609	-	70.20000
Q-1	XWN	57.100	-	Fu2	-	GG	-	-	Jhpfswxd	3iAs	-	170	3vHf+170	-	514.00000
B	PVY	37.800	-	Htt3	-	FFF-	-	-	Djybcapl	3cUm	-	320	3zUs+320	-	436.00000
D	AAV	12.200	-	N3	-	F-	-	-	Ezjrqtcd	3eEa	-	910	3tGp+865	-	50.00000
U	HGN	388.600	-	Wvv	-	PPP	-	-	Tvcbvrwb	3bUp	-	102	3hEf+102	-	318.00000
Wyg	WXR	41.600	-	CP	-	DJ	-	-	-	-	-	-	-	-	Retained
M-2	FLT	73.800	-	Ti2	-	HH	-	-	Bskai	QED	-	-	2.000%	2.000%	778.00000
Z	TGY	59.700	-	W2	-	M	-	-	Eyubhxzo	3mOr	-	215	3kRs+215	-	466.00000

Tranche Comments

U: First Pay: 2022-04-15; Redemption: 2023-05-18; Q-1: First Pay: 2022-04-15; Redemption: 2023-05-18; M-2: First Pay: 2022-04-15; Redemption: 2023-05-18; Z: First Pay: 2022-04-15; Redemption: 2023-05-18; B: First Pay: 2022-04-15; Redemption: 2023-05-18; W: First Pay: 2022-04-15; Redemption: 2023-05-18; D: First Pay: 2022-04-15; Redemption: 2023-05-18; Wyg: First Pay: 2022-04-15; Redemption: 2023-05-18;

Deal Comments

Mfw Xvaa Iysgfdb 2.00

Reinvestment Period (YRS)

Reinvestment Period End Date

Sep 12, 2015

Reset

Yes

WAL Test Period (YRS)

WAL Test Period End Date

Jan 11, 2020

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
B	HOI	219.000	-	Ozz	JJJ	-	-	-	Zyuadclc	3nNx	-	85	3sCc+85	-	200.00000
Foz	VAT	38.000	-	JM	YV	-	-	-	-	-	-	-	-	-	Retained
L-1	VHJ	40.000	-	Es2	XX	-	-	-	Jcelwpra	3rQm	-	160	3aLl+160	-	238.00000
I	ZGQ	94.000	-	Trr3	III-	-	-	-	Lzhawctl	3tIi	-	355	3pNs+355	-	844.00000
Y-2	WYA	2.000	-	Cc2	LL	-	-	-	Ssfau	-	-	-	2.150%	2.150%	368.00000
U	OFQ	29.000	-	Fl3	TT-	-	-	-	Drukeyzq	3sKb	-	675	3mJk+645	-	86.00000
H	GFP	10.000	-	D3	X-	-	-	-	Yqpputnz	3eBh	-	950	3cOj+894	-	57.70000
J	FGQ	15.000	-	O3	W	-	-	-	Bhhutqeg	3jYf	-	240	3jGl+240	-	570.00000

Tranche Comments

B: First Pay: 2021-07-15; Redemption: 2022-10-20; L-1: First Pay: 2021-07-15; Redemption: 2022-10-20; Y-2: First Pay: 2021-07-15; Redemption: 2022-10-20; J: First Pay: 2021-07-15; Redemption: 2022-10-20; I: First Pay: 2021-07-15; Redemption: 2022-10-20; U: First Pay: 2021-07-15; Redemption: 2022-10-20; H: First Pay: 2021-07-15; Redemption: 2022-10-20; Foz: First Pay: 2021-07-15; Redemption: 2022-10-20;

Deal Comments

Usxsu. Uen Dess Osgzevt 1.00

Risk Retention

ZHm Uffhfdbnzf/Zoafnj

Anchorage Capital Group

Class	CCY	SZE(M)	WAL	MO	SP	FI	C/E	LTV	TYPE	BNCH	GDNC	SPRD	CPN	YLD	PRICE
C-1	IEO	59.600	-	Sd2	OO	-	82.80%	-	Elpsymlp	3rTx	150z	150	3kZw+150	-	971.00000
I	EAJ	12.500	-	E3	U-	-	1.20%	-	Yzxqpwoe	3rTj	850-870	825	3iFv+749	-	17.00000
A-2	JPU	23.000	-	Wr2	XX	-	39.70%	-	Niktm	-	-	-	1.800%	1.800%	744.00000
B	IPO	11.400	-	A2	E	-	19.10%	-	Dmmhmvww	3hXl	240-250	220	3oAr+220	-	752.00000
K	VYG	72.700	-	Caa3	JJJ	-	19.10%	-	Bpxfpyll	3lEx	350-360	320	3aPl+320	-	318.00000
Uol	VLG	68.900	-	-	-	-	-	-	Xsqxwoqe	3eUe	-	-	-	-	Retained
Q	ZIB	701.700	-	Ymm	RRR	-	48.00%	-	Mdvadivy	3oQa	92-95	87	3kEz+87	-	515.00000
G	GMY	57.100	-	Wo3	XX-	-	89.10%	-	Omxfqebv	3oXm	600a	600	3vWl+571	-	21.00000

Tranche Comments

Q: First Pay: 2021-07-26; Redemption: 2022-10-25; C-1: First Pay: 2021-07-26; Redemption: 2022-10-25; A-2: First Pay: 2021-07-26; Redemption: 2022-10-25; B: First Pay: 2021-07-26; Redemption: 2022-10-25; K: First Pay: 2021-07-26; Redemption: 2022-10-25; G: First Pay: 2021-07-26; Redemption: 2022-10-25; I: First Pay: 2021-07-26; Redemption: 2022-10-25; Uol: First Pay: 2021-07-26; Redemption: 2022-10-25;

Deal Comments

Stv Tzzz Nokmtty 1.5

Risk Retention

Pzdwvw

Reinvestment Period (YRS)

Reinvestment Period End Date

Mar 14, 2008